کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
382131 | 660737 | 2015 | 13 صفحه PDF | دانلود رایگان |
• We propose a two-step iterated quadratic/Lagrange programming approach.
• It handles linearly constraints like the budget, and the risk-aversion parameter.
• We prove the convergence of the method.
• We provide all the details needed to implement the algorithm.
• The effectiveness of the method is proved by a credit-card limit example for a bank.
In this paper we present a new mean–variance customer portfolio optimization algorithm for a class of ergodic finite controllable Markov chains. In order to have a realistic result we propose an iterated two-step method for solving the given portfolio constraint problem: (a) the first step is designed to optimize the nonlinear problem using a quadratic programming method for finding the long run fraction of the time that the system is in a given state (segment) and an action (promotion) is chosen and, (b) the second step is designed to find the optimal number of customers using a Lagrange programming approach. Both steps are based on the c-variable method to make the problem computationally tractable and obtain the optimal solution for the customer portfolio. The Tikhonov’s regularization method is used to ensure the convergence of the objective-function to a single optimal portfolio solution. We prove that the proposed method converges by the Weierstrass theorem: the objective function of the mean–variance customer portfolio problem decreases, it is monotonically non-decreasing and bounded from above. In addition, for solving the customer portfolio problem we consider both, a constant risk-aversion restriction and budget limitations. The constraints imposed by the system produce mixed strategies. Effectiveness of the proposed method is successfully demonstrated theoretically and by a simulated experiment related with credit-card and customer-credit limits approach for a bank.
Journal: Expert Systems with Applications - Volume 42, Issue 12, 15 July 2015, Pages 5315–5327